STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES

2015 ◽  
Vol 97 (1) ◽  
pp. 101-119
Author(s):  
Chiara Brambilla ◽  
Martin Gurny ◽  
Sergio Ortobelli Lozza
Keyword(s):  
Credit Risk ◽  
Lévy Processes ◽  
Levy Processes ◽  
Risk Models ◽  
Structural Credit Risk Models

scholarly journals Applications of factorization embeddings for Lévy processes

2006 ◽  
Vol 38 (03) ◽  
pp. 768-791 ◽  
Author(s):  
A. B. Dieker
Keyword(s):  
Lévy Process ◽  
Joint Distribution ◽  
Lévy Processes ◽  
Levy Processes ◽  
Levy Process ◽  
Tail Asymptotics ◽  
Lévy Measure ◽  
Risk Models ◽  
General Properties ◽  
Phase Type

We give three applications of the Pecherskii-Rogozin-Spitzer identity for Lévy processes. First, we find the joint distribution of the supremum and the epoch at which it is ‘attained’ if a Lévy process has phase-type upward jumps. We also find the characteristics of the ladder process. Second, we establish general properties of perturbed risk models, and obtain explicit fluctuation identities in the case that the Lévy process is spectrally positive. Third, we study the tail asymptotics for the supremum of a Lévy process under different assumptions on the tail of the Lévy measure.

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